How to Kill a Black Swan Remy Briand and David Owyong ...

Global Index Data
Selected Major Indexes Sorted By YTD Returns July/August 2009
Total Return % Annualized Return %
Index Name YTD 2008 2007 2006 2005 2004 2003 2002 3-Yr 5-Yr 10-Yr 15-Yr
MSCI Brazil*
MSCI Indonesia*
MSCI EM Latin America
Barcap High Yield Corp Bond
MSCI EM
S&P 500-Information Tech
NASDAQ 100*
Russell Mid Cap Growth
JPM EMBI Global Diversified
S&P MidCap 400/Citi Growth
Barcap Municipal
Russell 1000 Growth
Russell Mid Cap
Russell 3000 Growth
S&P Midcap 400
MSCI EAFE Small Cap
Russell 2000 Growth
Barcap Mortgage-Backed
FTSE AW Ex US
S&P MidCap 400/Citi Value
S&P 500/Citi Growth
CS Tremont Hedge Fund
Barcap Aggregate Bond
FTSE All World
USTREAS Treasury Bill 3 Mon
Russell Mid Cap Value
USTreas Const Mat Treas 3 Yr
S&P SmallCap 600/Citi Growth
MSCI EAFE Value
Russell 1000
Russell 3000
Russell 2000
S&P 1500
Barcap Government
S&P Smallcap 600
Barcap Global Aggregate
S&P 500
MSCI Europe
MSCI EAFE
MSCI Pacific
S&P SmallCap 600/Citi Value
Citi WGBI
MSCI EAFE Growth
S&P 100
JPM GBI Global Ex US
Dow Jones - AIG Commodity
Dow Jones Industrial
MSCI World/Real Estate
S&P 500/Citi Value
Russell 2000 Value
Russell 3000 Value
DJ Composite Average
Russell 1000 Value
DJ Utilities Average
FTSE NAREIT All REITs
DJ Transportation Average
S&P GSCI
S&P 500 Sec/Financials
USTreas Const Mat Treas 20 Yr
DJ US Select Dividend
33.06
31.86
23.20
18.81
17.75
16.91
15.08
10.37
9.60
8.24
6.31
5.09
5.01
5.00
4.93
4.33
3.84
2.49
2.18
1.72
1.63
0.86
0.60
0.39
0.07
-0.43
-0.69
-0.76
-0.94
-1.39
-1.42
-1.81
-1.93
-2.30
-2.33
-2.38
-2.50
-2.64
-2.92
-3.45
-3.83
-4.78
-4.84
-4.96
-5.32
-5.63
-5.86
-6.47
-6.85
-6.89
-7.76
-7.82
-7.85
-8.64
-10.14
-10.45
-11.46
-12.91
-13.11
-14.63
-57.64
-57.57
-51.41
-26.16
-53.33
-43.14
-41.89
-44.33
-12.03
-37.61
-2.47
-38.44
-41.46
-38.44
-36.23
-47.01
-38.54
8.34
-45.26
-34.88
-34.92
-19.07
5.24
-41.76
1.51
-38.45
8.45
-32.95
-44.09
-37.60
-37.31
-33.79
-36.72
12.39
-31.07
4.79
-37.00
-46.42
-43.38
-36.42
-29.51
10.89
-42.70
-35.31
11.40
-35.65
-31.93
-48.09
-39.22
-28.92
-36.25
-27.94
-36.85
-27.84
-37.34
-21.41
-46.49
-55.32
27.08
-30.97
75.35
50.81
50.40
1.88
39.39
16.31
18.67
11.43
6.16
13.50
3.36
11.81
5.60
11.40
7.98
1.45
7.05
6.90
18.17
2.65
9.13
12.56
6.97
12.74
4.77
-1.42
9.27
5.60
5.96
5.77
5.14
-1.57
5.47
8.66
-0.30
9.48
5.49
13.86
11.17
5.30
-5.54
10.95
16.45
6.12
11.30
16.23
8.89
-5.57
1.99
-9.78
-1.01
8.88
-0.17
20.11
-17.83
1.43
32.67
-18.63
10.50
-5.16
40.52
69.61
43.15
11.85
32.17
8.42
6.79
10.66
9.87
5.81
4.84
9.07
15.26
9.46
10.32
19.31
13.35
5.22
28.10
14.62
11.01
13.87
4.33
22.19
5.07
20.22
3.75
10.54
30.38
15.46
15.72
18.37
15.34
3.48
15.12
6.64
15.79
33.72
26.34
12.20
19.57
6.12
22.33
18.47
6.84
2.07
19.05
39.86
20.80
23.48
22.34
15.71
22.25
16.63
34.35
9.81
-15.09
19.19
0.99
19.56
49.96
12.56
50.00
2.74
34.00
0.99
1.49
12.10
10.25
14.42
3.51
5.26
12.65
5.17
12.56
26.19
4.15
2.61
17.27
10.77
1.14
7.61
2.43
11.72
3.34
12.65
0.76
7.07
13.80
6.27
6.12
4.55
5.66
2.65
7.68
-4.49
4.91
9.42
13.54
22.64
8.36
-6.88
13.28
1.17
-9.24
21.36
1.72
14.86
8.71
4.71
6.85
9.49
7.05
25.14
8.29
11.65
25.55
6.48
7.77
3.78
30.49
44.54
39.44
11.13
25.55
2.56
10.44
15.48
11.62
15.78
4.48
6.30
20.22
6.93
16.48
30.78
14.31
4.70
21.73
17.18
6.97
9.64
4.34
16.14
1.43
23.71
0.26
24.29
24.33
11.41
11.95
18.33
11.78
3.48
22.65
9.27
10.88
20.88
20.25
18.98
21.09
10.35
16.12
6.43
12.05
9.15
5.31
35.69
15.03
22.25
16.94
15.58
16.49
30.24
30.41
27.73
17.28
10.91
8.31
18.14
102.85
69.97
73.52
28.97
55.82
47.23
49.12
42.71
22.21
37.32
5.31
29.75
40.06
30.97
35.62
61.35
48.54
3.07
41.60
33.80
27.08
15.44
4.10
34.39
1.05
38.07
0.98
38.50
45.30
29.89
31.06
47.25
29.59
2.36
38.79
12.51
28.69
38.54
38.59
38.48
39.20
14.91
31.99
26.25
18.63
23.93
28.28
36.34
30.36
46.03
31.14
29.40
30.03
29.39
38.47
31.84
20.72
31.13
1.10
30.16
-33.78
38.11
-22.50
-1.41
-6.17
-37.41
-37.58
-27.41
13.65
-19.67
9.61
-27.88
-16.19
-28.04
-14.53
-7.82
-30.26
8.75
-14.33
-9.43
-28.10
3.04
10.26
-18.86
1.68
-9.65
7.83
-16.57
-15.91
-21.65
-21.54
-20.48
-21.31
11.50
-14.63
16.52
-22.10
-18.38
-15.94
-9.29
-12.93
19.50
-16.02
-22.59
22.09
25.91
-15.01
-6.39
-16.59
-11.43
-15.18
-15.94
-15.52
-23.38
5.22
-11.48
32.07
-14.64
17.69
-3.94
2.04
0.00
1.07
-1.16
-5.51
-6.63
-6.41
-11.16
3.41
-8.79
3.88
-8.49
-11.62
-8.81
-9.95
-16.61
-12.10
7.71
-9.88
-11.22
-7.89
-0.27
6.01
-10.09
3.26
-12.56
6.83
-11.26
-12.77
-10.76
-10.94
-12.72
-10.76
7.71
-11.85
5.47
-10.77
-11.97
-12.34
-13.25
-12.54
6.83
-12.00
-9.79
6.81
-11.58
-8.05
-17.17
-13.78
-13.47
-13.25
-7.80
-13.21
-2.31
-17.43
-11.07
-20.16
-29.50
9.83
-14.15
26.73
15.43
22.97
2.34
11.10
-1.35
-0.10
-0.76
7.01
0.91
4.12
-2.39
0.01
-2.32
0.56
0.26
-1.67
6.04
3.52
0.12
-2.78
3.60
4.78
0.70
3.16
0.07
4.42
-0.11
1.09
-2.32
-2.26
-1.45
-2.33
5.61
-0.13
4.87
-2.70
0.98
0.66
-0.16
-0.22
5.55
0.16
-3.36
5.64
-2.76
-2.00
-0.47
-2.78
-1.42
-2.42
1.40
-2.50
7.75
-1.64
3.03
-7.01
-14.93
7.76
-4.04
13.01
10.09
14.02
3.56
8.24
-5.77
-4.18
0.02
9.91
5.84
4.78
-4.40
3.00
-4.15
4.86
-
-1.06
6.15
2.20
3.85
-4.00
7.02
5.71
-0.12
3.21
3.79
4.89
5.04
1.52
-2.03
-1.71
2.53
-1.71
6.04
5.25
5.32
-2.48
0.02
-0.03
-0.22
5.25
5.80
-1.75
-3.16
5.56
6.02
-0.61
1.33
-1.60
5.51
-0.08
0.70
-0.50
4.46
5.27
-0.23
4.43
-6.36
7.43
2.62
10.33
-1.72
-
5.65
-
8.59
9.18
6.28
11.74
-
5.67
5.46
8.22
5.22
9.63
-
3.31
6.83
4.12
-
6.69
9.28
6.48
5.00
3.88
8.71
5.45
-
4.34
6.57
6.45
5.91
-
6.61
-
6.15
6.46
5.89
2.80
-1.22
-
6.19
1.15
6.61
6.13
5.32
7.76
-
-
7.91
7.03
7.61
7.02
7.94
6.62
5.79
3.06
4.70
8.34
8.89
Source: Morningstar. Data as of April 30, 2009. All returns are in dollars, unless noted. YTD is year-to-date. 3-, 5-, 10- and 15-year returns are annualized. Sharpe is 12-month Sharpe ratio.
Std Dev is 3-year standard deviation. *Indicates price returns. All other indexes are total return.
Sharpe
0.17
0.16
0.12
-0.19
-0.12
-0.30
-0.30
-0.53
0.08
-0.43
0.14
-0.54
-0.55
-0.55
-0.49
-0.74
-0.54
1.30
-0.45
-0.55
-0.56
-0.44
0.67
-0.55
-
-0.58
1.12
-0.53
-0.59
-0.67
-0.67
-0.58
-0.67
0.91
-0.55
0.34
-0.69
-0.56
-0.63
-0.76
-0.56
0.46
-0.65
-0.68
0.41
-0.58
-0.60
-0.60
-0.77
-0.61
-0.76
-0.57
-0.77
-0.26
-0.44
-0.46
-0.71
-0.93
0.49
-0.76
Std Dev
39.12
44.18
33.66
15.97
31.24
23.77
23.48
23.26
12.61
22.83
5.43
19.04
23.15
19.35
22.59
24.54
24.14
3.20
23.90
22.73
17.65
7.81
4.06
21.20
0.57
23.69
3.11
23.26
23.65
19.06
19.35
23.79
19.03
4.74
23.58
6.98
18.66
23.54
22.10
20.12
24.22
8.24
21.09
17.77
9.20
22.48
17.08
29.25
20.67
24.22
20.19
17.38
19.94
16.40
35.84
25.45
29.67
34.05
14.67
21.28
www.journalofindexes.com July/August 2009
51